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Gunnar actually didn't have any special cooking skills—just that as a child, he had caught scorpions and cooked them himself numerous times, leading to some insights on how to cook them to his taste.
The methods Gunnar used to cook scorpions in his childhood were few, with grilling being the most common. As for why he didn't use the common method of deep-frying,
the reason was actually quite simple. Setting aside the fact that cooking oil was extremely precious at the time, even before the catastrophe, who would let an eight- or nine-year-old child fry food with oil.
Moreover, Gunnar was afraid of the bamboo cane at home, so he usually just ate the scorpions on the spot with his friends after catching them in the wild, never taking them home.
And in the wilderness, the simplest way to cook was undoubtedly by fire roasting.